Outputs (75)

Shunned stocks and market states (2021)
Journal Article
Han, X., Li, Y., & Onishchenko, O. (in press). Shunned stocks and market states. The European journal of finance, https://doi.org/10.1080/1351847X.2021.2015699

Hong and Kacperczyk (2009, The price of sin: The effects of social norms on markets. Journal of Financial Economics 93(1), 15–36) document that ‘sin stocks’ (alcohol, tobacco, and gambling) earn relatively high returns on a risk-adjusted basis. We re... Read More about Shunned stocks and market states.

Cultural diversity and borrowers’ behavior: evidence from peer-to-peer lending (2021)
Journal Article
Chen, Z., Jin, M., Andrikopoulos, A., & Li, Y. (in press). Cultural diversity and borrowers’ behavior: evidence from peer-to-peer lending. The European journal of finance, 1-25. https://doi.org/10.1080/1351847X.2021.2007496

We study cultural diversity and borrowers’ behavior using data from peer-to-peer lending platform Renrendai. We proxy cultural diversity with the Linguistic Diversity Index, measured by the population-weighted number of dialects spoken in a region, a... Read More about Cultural diversity and borrowers’ behavior: evidence from peer-to-peer lending.

Dark matters: the effects of dark trading restrictions on liquidity and informational efficiency (2021)
Journal Article
Ibikunle, G., Li, Y., Mare, D., & Sun, Y. (2021). Dark matters: the effects of dark trading restrictions on liquidity and informational efficiency. Journal of International Financial Markets, Institutions and Money, 75, Article 101435. https://doi.org/10.1016/j.intfin.2021.101435

We exploit the implementation of the double volume cap regulation introduced under the Markets in Financial Instruments Directive II in the European equity markets to investigate the impact of dark trading on liquidity and informational efficiency. W... Read More about Dark matters: the effects of dark trading restrictions on liquidity and informational efficiency.

The existence and severity of the forward premium puzzle during tranquil and turbulent periods: Developed versus developing country currencies (2021)
Journal Article
Shehadeh, A. A., Li, Y., Vigne, S. A., Almaharmeh, M. I., & Wang, Y. (2021). The existence and severity of the forward premium puzzle during tranquil and turbulent periods: Developed versus developing country currencies. International review of financial analysis, 78, Article 101871. https://doi.org/10.1016/j.irfa.2021.101871

In this paper we investigate the forward premium bias (FPB) puzzle for a number of developed and developing country currencies. Our main objective is to examine the possible variations in the existence and severity of the bias for different currency... Read More about The existence and severity of the forward premium puzzle during tranquil and turbulent periods: Developed versus developing country currencies.

Low liquidity beta anomaly in China (2021)
Journal Article
Frömmel, M., Han, X., Li, Y., & Vigne, S. A. (in press). Low liquidity beta anomaly in China. Emerging markets review, Article 100832. https://doi.org/10.1016/j.ememar.2021.100832

The conventional risk-based theory does not reconcile with the liquidity-beta anomaly in China: Low liquidity-beta stocks outperform high liquidity-beta stocks on a risk-adjusted basis. This striking pattern is robust to different weighting schemes,... Read More about Low liquidity beta anomaly in China.

The role of hedge funds in the asset pricing: evidence from China (2021)
Journal Article
Zhang, J., Zhang, W., Li, Y., & Feng, X. (in press). The role of hedge funds in the asset pricing: evidence from China. The European journal of finance, 1-25. https://doi.org/10.1080/1351847X.2021.1929373

We document that hedge funds nurture mispricing in the Chinese financial market. We examine the relationship between hedge fund holdings and the degree of mispricing, assuming that hedge funds’ stock holdings are mainly for arbitrage and not for hedg... Read More about The role of hedge funds in the asset pricing: evidence from China.

Was a deterioration in ‘connectedness’ a leading indicator of the European sovereign debt crisis? (2021)
Journal Article
Hamill, P. A., Li, Y., Pantelous, A., Vigne, S. A., & Waterworth, J. (2021). Was a deterioration in ‘connectedness’ a leading indicator of the European sovereign debt crisis?. Journal of International Financial Markets, Institutions and Money, Article 101300. https://doi.org/10.1016/j.intfin.2021.101300

This paper investigates network connectedness of European sovereign bond markets from 2005 to 2011. To overcome weaknesses in alternative methodologies to estimate network connectedness we adopt the unified methodology recommended by Diebold and Yilm... Read More about Was a deterioration in ‘connectedness’ a leading indicator of the European sovereign debt crisis?.

Same same but different – Stylized facts of CTA sub strategies (2021)
Journal Article
Erdős, P., Li, Y., Liu, R., & Mende, A. (2021). Same same but different – Stylized facts of CTA sub strategies. International review of financial analysis, 74, Article 101657. https://doi.org/10.1016/j.irfa.2021.101657

Using a unique dataset of daily returns of 89 programmes of Commodity Trading Advisors (CTA), we investigate the distributional properties of CTA strategies including trend following, fundamental and contrarian strategies. We find that daily data exh... Read More about Same same but different – Stylized facts of CTA sub strategies.

Bayesian Value-at-Risk backtesting: The case of annuity pricing (2021)
Journal Article
Leung, M., Li, Y., Pantelous, A. A., & Vigne, S. A. (in press). Bayesian Value-at-Risk backtesting: The case of annuity pricing. European journal of operational research, https://doi.org/10.1016/j.ejor.2020.12.051

We propose new Unconditional, Independence and Conditional Coverage VaR-forecast backtests for the case of annuity pricing under a Bayesian framework that significantly minimise the direct and indirect effects of p-hacking or other biased outcomes in... Read More about Bayesian Value-at-Risk backtesting: The case of annuity pricing.

Order book price impact in the Chinese soybean futures market (2021)
Journal Article
Jin, M., Kearney, F., Li, Y., & Yang, Y. C. (in press). Order book price impact in the Chinese soybean futures market. International journal of finance & economics : IJFE, https://doi.org/10.1002/ijfe.2439

We study the price impact of order flow in the world's largest soybean meal futures markets. Our intraday results indicate that incoming orders can be used to explain and predict future price changes. Our results are shown to be robust to various ord... Read More about Order book price impact in the Chinese soybean futures market.